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EX-31.2 - EXHIBIT 31.2 - Invesco Mortgage Capital Inc.ivr20150331ex312.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
_______________________________________________ 
FORM 10-Q 
_______________________________________________
(Mark One)
ý
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2015
OR 
o
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                  to                 
Commission file number 001-34385

(Exact Name of Registrant as Specified in Its Charter)
_______________________________________________
Maryland
 
26-2749336
(State or Other Jurisdiction of
Incorporation or Organization)
 
(I.R.S. Employer
Identification No.)
 
 
1555 Peachtree Street, N.E., Suite 1800
Atlanta, Georgia
 
30309
(Address of Principal Executive Offices)
 
(Zip Code)
(404) 892-0896
(Registrant’s Telephone Number, Including Area Code) 
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  ý    No  o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  ý    No  o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one): 
Large Accelerated filer
 
ý
 
  
Accelerated filer
 
o
Non-Accelerated filer
 
o
(Do not check if a smaller reporting company)
  
Smaller reporting company
 
o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes  o    No  ý
As of May 1, 2015, there were 123,133,574 outstanding shares of common stock of Invesco Mortgage Capital Inc.



INVESCO MORTGAGE CAPITAL INC.
TABLE OF CONTENTS
 
 
 
Page
 
 
 
Item 1.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 2.
 
 
 
Item 3.
 
 
 
Item 4.
 
 
 
 
 
Item 1.
 
 
 
Item 1A.
 
 
 
Item 2.
 
 
 
Item 3.
 
 
 
Item 4.
 
 
 
Item 5.
 
 
 
Item 6.



PART I
ITEM 1.
FINANCIAL STATEMENTS
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
  
As of
 In thousands except share amounts
March 31,
2015
 
December 31,
2014
 
(Unaudited)
 
 
ASSETS
 
Mortgage-backed securities, at fair value
17,340,595

 
17,248,895

Residential loans, held-for-investment (1)
3,597,147

 
3,365,003

Commercial loans, held-for-investment
146,211

 
145,756

Cash and cash equivalents
157,025

 
164,144

Due from counterparties
82,215

 
57,604

Investment related receivable
27,697

 
38,717

Accrued interest receivable
66,144

 
66,044

Derivative assets, at fair value
6,706

 
24,178

Deferred securitization and financing costs
12,286

 
13,080

Other investments
110,993

 
106,498

Other assets
1,055

 
1,098

Total assets (1)
21,548,074

 
21,231,017

LIABILITIES AND EQUITY
 
 
 
Liabilities:
 
 
 
Repurchase agreements
13,333,081

 
13,622,677

Secured loans
1,550,000

 
1,250,000

Asset-backed securities issued by securitization trusts (1)
3,133,527

 
2,929,820

Exchangeable senior notes
400,000

 
400,000

Derivative liabilities, at fair value
290,852

 
254,026

Dividends and distributions payable
61,766

 
61,757

Investment related payable
30,351

 
17,008

Accrued interest payable
23,800

 
29,670

Collateral held payable
4,300

 
14,890

Accounts payable and accrued expenses
3,248

 
2,439

Due to affiliate
9,535

 
9,880

Total liabilities (1)
18,840,460

 
18,592,167

Equity:
 
 
 
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:
 
 
 
7.75% Series A Cumulative Redeemable Preferred Stock: 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference)
135,356

 
135,356

7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,200,000 shares issued and outstanding ($155,000 aggregate liquidation preference)
149,860

 
149,860

Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 123,131,777 and 123,110,454 shares issued and outstanding, respectively
1,231

 
1,231

Additional paid in capital
2,532,353

 
2,532,130

Accumulated other comprehensive income
560,358

 
404,559

Retained earnings (distributions in excess of earnings)
(700,930
)
 
(612,821
)
Total stockholders’ equity
2,678,228

 
2,610,315

Non-controlling interest
29,386

 
28,535

Total equity
2,707,614

 
2,638,850

Total liabilities and equity
21,548,074

 
21,231,017

(1)
The condensed consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the Company. As of March 31, 2015 and December 31, 2014, total assets of the consolidated VIEs were $3,613,043 and $3,380,597, respectively, and total liabilities of the consolidated VIEs were $3,142,670 and $2,938,512, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion.
The accompanying notes are an integral part of these condensed consolidated financial statements.

 
1
 



INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
 
 
Three Months Ended 
 March 31,
In thousands, except share amounts
2015
 
2014
Interest Income
 
 
 
Mortgage-backed securities
141,018

 
151,739

Residential loans (1)
29,374

 
17,704

Commercial loans
3,115

 
1,619

Total interest income
173,507

 
171,062

Interest Expense
 
 
 
Repurchase agreements
43,310

 
49,071

Secured loans
1,464

 

Exchangeable senior notes
5,607

 
5,607

Asset-backed securities (1)
21,898

 
13,935

Total interest expense
72,279

 
68,613

Net interest income
101,228

 
102,449

(Reduction in) provision for loan losses
(62
)
 
207

Net interest income after (reduction in) provision for loan losses
101,290

 
102,242

Other Income (loss)
 
 
 
Gain (loss) on sale of investments, net
2,142

 
(11,718
)
Equity in earnings of unconsolidated ventures
6,006

 
441

Gain (loss) on derivative instruments, net
(122,745
)
 
(151,312
)
Realized and unrealized credit default swap income
203

 
329

Other investment income (loss), net
(894
)
 

Total other income (loss)
(115,288
)
 
(162,260
)
Expenses
 
 
 
Management fee – related party
9,415

 
9,335

General and administrative
1,727

 
2,012

Consolidated securitization trusts (1)
2,156

 
1,184

Total expenses
13,298

 
12,531

Net loss
(27,296
)
 
(72,549
)
Net loss attributable to non-controlling interest
(312
)
 
(822
)
Net loss attributable to Invesco Mortgage Capital Inc.
(26,984
)
 
(71,727
)
Dividends to preferred stockholders
5,716

 
2,713

Net loss attributable to common stockholders
(32,700
)
 
(74,440
)
Loss per share:
 
 
 
Net loss attributable to common stockholders
 
 
 
Basic
(0.27
)
 
(0.60
)
Diluted
(0.27
)
 
(0.60
)
Dividends declared per common share
0.45

 
0.50

(1)
The condensed consolidated statements of operations include income and expenses of consolidated variable interest entities. Refer to Note 3 - “Variable Interest Entities” for further discussion.
The accompanying notes are an integral part of these condensed consolidated financial statements.

 
2
 



INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(Unaudited)
 
 
Three Months Ended 
 March 31,
In thousands
2015
 
2014
Net loss
(27,296
)
 
(72,549
)
Other comprehensive income (loss):
 
 
 
Unrealized gain (loss) on mortgage-backed securities, net
140,598

 
169,467

Reclassification of unrealized (gain) loss on sale of mortgage-backed securities to gain (loss) on sale of investments, net
(2,142
)
 
11,718

Reclassification of amortization of net deferred losses on de-designated interest rate swaps to repurchase agreements interest expense
19,145

 
21,296

Total Other comprehensive income
157,601

 
202,481

Comprehensive income
130,305

 
129,932

Less: Comprehensive income attributable to non-controlling interest
(1,490
)
 
(1,483
)
Less: Dividends to preferred stockholders
(5,716
)
 
(2,713
)
Comprehensive income attributable to common stockholders
123,099

 
125,736

The accompanying notes are an integral part of these condensed consolidated financial statements.


 
3
 



INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENT OF EQUITY
For the three months ended March 31, 2015
(Unaudited)
 
 
 
 
 
 
 
Attributable to Common Stockholders
 
 
 
 
 
 
 
 
 
 
 
 
 
Additional
Paid in
Capital
 
Accumulated
Other
Comprehensive
Income
 
Retained
Earnings
(Distributions
in excess of
earnings)
 
Total
Stockholders’
Equity
 
Non-
Controlling
Interest
 
 
 
Series A
Preferred Stock
 
Series B
Preferred Stock
 
 
 
 
In thousands except
 share amounts
 
 
Common Stock
 
Total
Equity
Shares
 
Amount
 
Shares
 
Amount
 
Shares
 
Amount
 
 
 
 
 
 
Balance at January 1, 2015
5,600,000

 
135,356

 
6,200,000

 
149,860

 
123,110,454

 
1,231

 
2,532,130

 
404,559

 
(612,821
)
 
2,610,315

 
28,535

 
2,638,850

Net loss

 

 

 

 


 


 

 

 
(26,984
)
 
(26,984
)
 
(312
)
 
(27,296
)
Other comprehensive income

 

 

 

 

 

 

 
155,799

 

 
155,799

 
1,802

 
157,601

Proceeds from issuance of common stock, net of offering costs

 

 

 

 
4,444

 

 
70

 

 

 
70

 

 
70

Stock awards

 

 

 

 
16,879

 

 

 

 

 

 

 

Common stock dividends

 

 

 

 

 

 

 

 
(55,409
)
 
(55,409
)
 


 
(55,409
)
Common unit dividends

 

 

 

 

 

 

 

 

 

 
(641
)
 
(641
)
Preferred stock dividends

 

 

 

 

 

 

 

 
(5,716
)
 
(5,716
)
 

 
(5,716
)
Amortization of equity-based compensation

 

 

 

 

 

 
153

 

 


 
153

 
2

 
155

Balance at March 31, 2015
5,600,000

 
135,356

 
6,200,000

 
149,860

 
123,131,777

 
1,231

 
2,532,353

 
560,358

 
(700,930
)
 
2,678,228

 
29,386

 
2,707,614

The accompanying notes are an integral part of this condensed consolidated financial statement.


 
4
 



INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
  
Three Months Ended March 31,
In thousands
2015
 
2014
Cash Flows from Operating Activities
 
 
 
Net loss
(27,296
)
 
(72,549
)
Adjustments to reconcile net loss to net cash provided by operating activities:
 
 
 
Amortization of mortgage-backed securities premiums and (discounts), net
29,549

 
32,390

Amortization of residential loans and asset-backed securities premiums (discount), net
37

 
824

Amortization of commercial loan origination fees
(6
)
 
(1
)
(Reduction in) provision for loan losses
(62
)
 
207

Unrealized (gain) loss on derivative instruments, net
51,034

 
81,047

Unrealized (gain) loss on credit default swap, net
62

 
47

(Gain) loss on sale of mortgage-backed securities, net
(2,142
)
 
11,718

Realized (gain) loss on derivative instruments, net
26,103

 
18,824

Equity in earnings of unconsolidated ventures
(6,006
)
 
(441
)
Amortization of equity-based compensation
155

 
124

Amortization of deferred securitization and financing costs
794

 
719

Reclassification of amortization of net deferred losses on de-designated interest rate swaps to repurchase agreements interest expense
19,145

 
21,296

Non-cash interest income capitalized in commercial loans

 
(670
)
(Gain) loss on foreign currency transactions, net
1,500



Changes in operating assets and liabilities:
 
 
 
(Increase) decrease in operating assets
(53
)
 
1,389

Decrease in operating liabilities
(5,392
)
 
(5,877
)
Net cash provided by operating activities
87,422

 
89,047

Cash Flows from Investing Activities
 
 
 
Purchase of mortgage-backed securities
(726,494
)
 
(681,827
)
(Contributions) distributions (from) to investment in unconsolidated ventures, net
8,761

 
2,721

Change in other investments
(7,250
)
 
9,891

Principal payments from mortgage-backed securities
570,110

 
397,431

Proceeds from sale of mortgage-backed securities
179,998

 
949,905

Payment of premiums for interest rate swaptions
(1,485
)
 
(4,688
)
Payments for termination of futures/currency forward contracts and TBAs
(2,360
)
 
(3,749
)
Purchase of residential loans held-for-investment
(372,305
)
 
(283,421
)
Principal payments from residential loans held-for-investment
138,210

 
21,951

Origination and advances of commercial loans, net of origination fees
(1,944
)
 
(27,478
)
Net cash (used in) provided by investing activities
(214,759
)
 
380,736

Cash Flows from Financing Activities
 
 
 
Proceeds from issuance of common stock
70

 
73

Repurchase of common stock

 
(21,129
)
Cost of issuance of preferred stock
(15
)
 

Due from counterparties
(23,626
)
 
(3,379
)
Collateral held payable
(10,590
)
 
(28,231
)
Proceeds from repurchase agreements
35,603,951

 
33,987,939

Principal repayments of repurchase agreements
(35,893,498
)
 
(34,587,304
)
Proceeds from asset-backed securities issued by securitization trusts
336,077

 
245,864

Principal repayments of asset-backed securities issued by securitization trusts
(130,394
)
 
(19,258
)
Proceeds from secured loans
600,000

 

Principal repayments on secured loans
(300,000
)
 

Payments of deferred costs

 
(512
)
Payments of dividends and distributions
(61,757
)
 
(66,087
)
Net cash provided by (used in) financing activities
120,218

 
(492,024
)
Net change in cash and cash equivalents
(7,119
)
 
(22,241
)
Cash and cash equivalents, beginning of period
164,144

 
210,612

Cash and cash equivalents, end of period
157,025

 
188,371

Supplement Disclosure of Cash Flow Information
 
 
 
Interest paid
59,713

 
50,363

Non-cash Investing and Financing Activities Information
 
 
 
Net change in unrealized gain on mortgage-backed securities
138,456

 
181,185

Dividends and distributions declared not paid
61,766

 
64,969

(Receivable) / payable for mortgage-backed securities sold / purchased, net
4,265

 
710,958

Repurchase agreements, not settled
(49
)
 

Collateral held payable, not settled

 
(4,319
)
Interest rate swaps terminated, not settled
19,055

 

Net change in due from counterparties
(985
)
 

The accompanying notes are an integral part of these condensed consolidated financial statements.

 
5
 



INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
Note 1 – Organization and Business Operations
Invesco Mortgage Capital Inc. (the “Company”) is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities and mortgage loans. The Company is externally managed and advised by Invesco Advisers, Inc. (the "Manger"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. (“Invesco”), a leading independent global investment management firm.
The Company conducts its business through IAS Operating Partnership LP (the “Operating Partnership”) as its sole general partner. As of March 31, 2015, the Company owned 98.9% of the Operating Partnership, and a wholly-owned subsidiary of Invesco owned the remaining 1.1%. The Company has one operating segment.
The Company primarily invests in:
Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association, or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS");
RMBS that are not guaranteed by a U.S. government agency (“non-Agency RMBS”);
Credit risk transfer securities issued by government-sponsored enterprises ("GSE CRT");
Commercial mortgage-backed securities ("CMBS");
Residential and commercial mortgage loans; and
Other real estate-related financing agreements.
The Company generally finances its investments through short- and long-term borrowings structured as repurchase agreements and secured loans. The Company finances its residential loans held-for-investment through asset-backed securities ("ABS") issued by consolidated securitization trusts. The Company has also financed investments through the issuances of debt and equity and may utilize other forms of financing in the future.
The Company elected to be taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986, as amended, commencing with the Company's taxable year ended December 31, 2009. To maintain the Company’s REIT qualification, the Company is generally required to distribute at least 90% of its REIT taxable income to its stockholders annually. The Company operates its business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940, as amended.
Note 2 – Summary of Significant Accounting Policies
Basis of Presentation and Consolidation
Certain disclosures included in the Company’s Annual report on Form 10-K are not required to be included on an interim basis in the Company’s quarterly reports on Form 10-Q. The Company has condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2014.
In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair presentation of the financial condition and results of operations for the periods presented. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation.
The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and its controlled subsidiaries. The condensed consolidated financial statements also include the consolidation of certain securitization trusts that meet the definition of a variable interest entity ("VIE") because the Company has been deemed to be the primary beneficiary of the securitization trusts. These securitization trusts hold pools of residential mortgage loans and issue series of asset-backed securities payable from the cash flows generated by the underlying pools of residential mortgage loans. The securitizations are non-recourse financing for the residential mortgage loans held-for-investment. Generally, a portion of the asset-backed securities issued by the securitization trusts is sold to unaffiliated third parties and the balance is purchased by the Company. The Company classifies the underlying residential mortgage loans owned by the securitization trusts as residential loans held-for-investment in its condensed consolidated balance sheets. The asset-backed securities issued to third parties are recorded as liabilities on the Company's condensed consolidated balance sheets.

 
6
 



The Company records interest income on the residential loans held-for-investment, interest expense on the asset-backed securities issued to third parties and direct operating expenses incurred by the securitization trusts in the Company's condensed consolidated statements of operations. The Company eliminates all intercompany balances and transactions between itself and the consolidated securitization trusts. The Company records the initial underlying assets and liabilities of the consolidated securitization trusts at their fair value upon consolidation into the Company and, as such, no gain or loss is recorded upon consolidation. Refer to Note 3 - "Variable Interest Entities" for additional information regarding the impact of consolidation of securitization trusts.
The consolidated securitization trusts are VIEs because the securitization trusts do not have equity that meets the definition of U.S. GAAP equity at risk. In determining if a securitization trust should be consolidated, the Company evaluates whether it has both (i) the power to direct the activities of the securitization trust that most significantly impact its economic performance and (ii) the right to receive benefits from the securitization trust or the obligation to absorb losses of the securitization trust that could be significant. The Company's determination of whether it is the primary beneficiary of a securitization trust includes both a qualitative and quantitative analysis. The Company determined that it was the primary beneficiary of certain securitization trusts because it was involved in certain aspects of the design of the securitization trusts and has certain default oversight rights on defaulted residential loans. In addition, the Company owns the most subordinated class of asset-backed securities issued by the securitization trusts and has the obligation to absorb losses and right to receive benefits from the securitization trust that could potentially be significant to the securitization trust. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company's initial consolidation assessment.
Use of Estimates
The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed securities, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates.
Significant Accounting Policies
Included in Note 2 to the consolidated financial statements of the Company’s 2014 Annual Report on Form 10-K is a summary of the Company's significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the Company's consolidated financial condition and results of operations for the three months ended March 31, 2015.
Repurchase Agreements
Effective January 1, 2015, the Company adopted Accounting Standard Update No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to Maturity Transactions, Repurchase Financings, and Disclosures ("ASU 2014-11"). Under the new standard, the Company no longer applies the "linked" accounting model to instances where the Company purchases mortgage-backed securities and enters into repurchase agreements to finance the purchase with the same counterparty. Purchases of mortgage-backed securities and repurchase financings are considered separately, and the repurchase agreement component of the transaction is accounted for as a secured borrowing. The Company records the mortgage-backed securities and the related repurchase agreement financing on a gross basis in its condensed consolidated balance sheets, and the corresponding interest income and interest expense on a gross basis in its condensed consolidated statements of operations.
None of the Company's repurchase financing transactions prior to January 1, 2015 qualified as linked transactions and were accounted for as derivatives. Accordingly, the Company did not record a cumulative effect adjustment to retained earnings as of January 1, 2015 as a result of adopting ASU 2014-11.
Reclassifications
Certain prior period reported amounts have been reclassified to be consistent with the current presentation. Such reclassifications had no impact on net income or equity attributable to common stockholders.
Recent Accounting Pronouncements Not Yet Adopted
In February 2015, the FASB issued modifications to existing consolidation guidance for reporting organizations that are required to evaluate whether they should consolidate certain legal entities. The guidance is effective for fiscal years and interim periods within those years beginning after December 15, 2015, and requires either a retrospective or a modified

 
7
 



retrospective approach to adoption. Early adoption is permitted. The Company is currently evaluating the potential impact of the new guidance on its condensed consolidated financial statements, as well as the available transition methods.
In April 2015, the FASB issued guidance to amend the presentation of debt issuance cost related to a recognized debt liability. Under the new guidance, the debt issuance costs will be presented in the balance sheet as a direct deduction from the carrying amount of the recognized debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected under the new guidance. The standard is effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Early adoption is permitted. The guidance should be applied on a retrospective basis. The balance sheet of each individual period presented should be adjusted to reflect the period-specific effects of applying the new guidance. Upon adoption, an entity is required to comply with the applicable disclosures for a change in an accounting principle. These disclosures include the nature of and reason for the change in accounting principle, the transition method, a description of the prior-period information that has been retrospectively adjusted, and the effect of the change on the financial statement line items (i.e., debt issuance cost asset and the debt liability). The Company is currently evaluating the potential impact of the new guidance on its condensed consolidated financial statements.
Note 3 – Variable Interest Entities
The Company's maximum risk of loss in VIEs in which the Company is not the primary beneficiary at March 31, 2015 is presented in the table below.
$ in thousands
Carrying Amount
 
Company's Maximum Risk of Loss
Non-Agency RMBS
2,947,675

 
2,947,675

CMBS
3,456,892

 
3,456,892

Total
6,404,567

 
6,404,567

Refer to Note 4 - "Mortgage-Backed Securities" for additional details regarding these investments.
As discussed in Note 2 - "Summary of Significant Accounting Policies," the Company has determined that it is the primary beneficiary of certain securitization trusts. The following table presents a summary of the assets and liabilities of the Company's consolidated securitization trusts as of March 31, 2015 and December 31, 2014. Intercompany balances have been eliminated for purposes of this presentation.
$ in thousands
March 31, 2015
 
December 31, 2014
Residential loans, held-for-investment
3,597,147

 
3,365,003

Accrued interest receivable
11,050

 
10,562

Deferred costs
4,846

 
5,032

Total assets
3,613,043

 
3,380,597

Accrued interest and accrued expenses payable
9,143

 
8,692

Asset-backed securities issued by securitization trusts
3,133,527

 
2,929,820

Total liabilities
3,142,670

 
2,938,512

The Company’s risk with respect to each investment in a securitization trust is limited to its direct ownership in the securitization trust. The residential loans held by the consolidated securitization trusts are held solely to satisfy the liabilities of the securitization trusts, and the investors in the securitization trusts have no recourse to the general credit of the Company for the asset-backed securities issued by the securitization trusts. The assets of a consolidated securitization trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the securitization trusts for the period ended March 31, 2015.

 
8
 



During the three months ended March 31, 2015, the Company invested in and consolidated one new securitization trust. The following table presents the balances of the assets and liabilities of the newly consolidated securitization trust before consolidation into the Company. The current period activity for the securitization trust is reflected in the Company’s condensed consolidated financial statements.
$ in thousands
2015
Residential loans, held-for-investment
372,305

Accrued interest receivable
1,236

Total assets
373,541

Accrued interest and accrued expenses payable
1,236

Asset-backed securities issued by securitization trusts
372,305

Total liabilities
373,541

The Company did not deconsolidate any securitization trusts during the three months ended March 31, 2015.
Residential Loans Held by Consolidated Securitization Trusts
Residential loans held by consolidated securitization trusts are carried at unpaid principal balance net of any premiums and discount and allowance for loan losses. The residential loans are secured by a lien on the underlying residential property.
The following table details the carrying value for residential loans held-for-investment at March 31, 2015 and December 31, 2014.
$ in thousands
March 31, 2015
 
December 31, 2014
Principal balance
3,566,418

 
3,332,192

Unamortized premium (discount), net
31,409

 
33,553

Recorded investment
3,597,827

 
3,365,745

Allowance for loan losses
(680
)
 
(742
)
Carrying value
3,597,147

 
3,365,003

The following table summarizes residential loans held-for-investment at March 31, 2015 by year of origination.
$ in thousands
2014
 
2013
 
2012
 
2011
 
2010
 
2009
 
2008
 
2007
 
Total
Portfolio Characteristics:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Number of Loans
760

 
2,788

 
765

 
99

 
30

 
6

 
17

 
16

 
4,481

Current Principal Balance
573,464

 
2,160,438

 
665,613

 
103,886

 
30,021

 
2,754

 
16,515

 
13,727

 
3,566,418

Net Weighted Average Coupon Rate
3.49
%
 
3.47
%
 
3.25
%
 
3.38
%
 
3.70
%
 
3.69
%
 
4.96
%
 
4.73
%
 
3.44
%
Weighted Average Maturity (years)
29.13

 
28.23

 
27.70

 
26.18

 
25.63

 
24.18

 
23.34

 
22.26

 
28.15

Current Performance:
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 
 
Current
571,545

 
2,158,820

 
665,613

 
103,886

 
30,021

 
2,754

 
16,515

 
13,727

 
3,562,881

30 Days Delinquent
1,285

 
1,618

 

 

 

 

 

 

 
2,903

60 Days Delinquent
634

 

 

 

 

 

 

 

 
634

90+ Days Delinquent

 

 

 

 

 

 

 

 

Bankruptcy/Foreclosure

 

 

 

 

 

 

 

 

Total
573,464

 
2,160,438

 
665,613

 
103,886

 
30,021

 
2,754

 
16,515

 
13,727

 
3,566,418


 
9
 



The following table summarizes the geographic concentrations of residential loans held-for-investment at March 31, 2015 based on principal balance outstanding.
State
Percent
California
53.5
%
New York
7.6
%
 Massachusetts
5.8
%
 Illinois
3.7
%
Other states (none greater than 3%)
29.4
%
Total
100.0
%
The following table presents future contractual minimum annual principal payments of residential loans held-for-investment at March 31, 2015.
$ in thousands
 
Scheduled Principal
March 31, 2015
Within one year
62,173

One to three years
131,815

Three to five years
142,940

Greater than or equal to five years
3,229,490

Total
3,566,418

Allowance for Loan Losses on Residential Loans Held by Consolidated Securitization Trusts
The following table summarizes the activity in the allowance for loan losses for the three months ended March 31, 2015 and 2014.
$ in thousands
March 31, 2015
 
March 31, 2014
Balance at beginning of period
(742
)
 
(884
)
Charge-offs, net

 

Reduction in (provision for) loan losses
62

 
(207
)
Balance at end of period
(680
)
 
(1,091
)
Asset-Backed Securities Issued by Securitization Trusts
Asset-backed securities issued by securitization trusts are recorded at principal balance net of unamortized premiums or discounts. Asset-backed securities issued by securitization trusts are issued in various tranches and have a weighted average contractual maturity of 28.80 years and 28.94 years at March 31, 2015 and December 31, 2014, respectively. The investors in the asset-backed securities are not affiliated with the Company and have no recourse to the general credit of the Company.
The asset-backed securities are collateralized by residential loans held in the securitization trusts as summarized in the following table at March 31, 2015 and December 31, 2014.
 
March 31, 2015
 
December 31, 2014
 
ABS
 
Residential loans
 
ABS
 
Residential loans
$ in thousands
Outstanding
 
Held as Collateral
 
Outstanding
 
Held as Collateral
Principal balance
3,106,212

 
3,566,418

 
2,902,378

 
3,332,192

Interest-only securities
14,574

 

 
15,040

 

Unamortized premium
23,371

 
39,497

 
23,735

 
41,928

Unamortized discount
(10,630
)
 
(8,088
)
 
(11,333
)
 
(8,375
)
Allowance for loan losses

 
(680
)
 

 
(742
)
Carrying value
3,133,527

 
3,597,147

 
2,929,820

 
3,365,003

Range of weighted average interest rates
2.8% - 4.0%

 
 
 
2.8% - 4.0%

 
 
Number of securitization trusts consolidated
11

 
 
 
10

 
 

 
10
 



The following table presents the estimated principal repayment schedule of asset-backed securities issued by securitization trusts at March 31, 2015 based on estimated cash flows of the underlying residential mortgage loans, as adjusted for projected prepayments and losses on such loans. The estimated principal repayments may differ from actual amounts to the extent prepayments and/or loan losses vary.
$ in thousands
 
Estimated principal repayment
March 31, 2015
Within one year
411,313

One to three years
676,771

Three to five years
511,839

Greater than or equal to five years
1,506,289

Total
3,106,212

Note 4 – Mortgage-Backed Securities
All of the Company’s mortgage-backed securities ("MBS") are classified as available-for-sale and reported at fair value, which is determined by obtaining valuations from an independent source. If the fair value of a security is not available from a third-party pricing service, or such data appears unreliable, the Company may estimate the fair value of the security using a variety of methods including other pricing services, repurchase agreement pricing, discounted cash flow analysis, matrix pricing, option adjusted spread models and other fundamental analysis of observable market factors.
The following tables present certain information about the Company’s MBS portfolio as of March 31, 2015 and December 31, 2014.
March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
$ in thousands
Principal
Balance
 
Unamortized
Premium
(Discount)
 
Amortized
Cost
 
Unrealized
Gain/
(Loss), net
 
Fair
Value
 
Net
Weighted
Average
Coupon (1)
 
Period-
end
Weighted
Average
Yield (2)
 
Quarterly
Weighted
Average
Yield (3)
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
1,718,391

 
86,529

 
1,804,920

 
35,330

 
1,840,250

 
3.77
%
 
2.54
%
 
2.21
%
30 year fixed-rate
4,239,350

 
285,902

 
4,525,252

 
98,204

 
4,623,456

 
4.29
%
 
3.02
%
 
2.99
%
ARM*
448,286

 
5,345

 
453,631

 
9,711

 
463,342

 
2.75
%
 
2.41
%
 
2.69
%
Hybrid ARM
2,806,427

 
48,919

 
2,855,346

 
48,618

 
2,903,964

 
2.77
%
 
2.28
%
 
2.28
%
Total Agency pass-through
9,212,454

 
426,695

 
9,639,149

 
191,863

 
9,831,012

 
3.65
%
 
2.68
%
 
2.62
%
Agency-CMO(4)
1,997,925

 
(1,554,128
)
 
443,797

 
(548
)
 
443,249

 
2.29
%
 
4.91
%
 
3.71
%
Non-Agency RMBS(5)(6)
3,428,864

 
(569,772
)
 
2,859,092

 
88,583

 
2,947,675

 
3.55
%
 
4.03
%
 
4.35
%
GSE CRT(7)
633,000

 
24,653

 
657,653

 
4,114

 
661,767

 
4.84
%
 
4.13
%
 
4.04
%
CMBS(8)
3,218,583

 
52,371

 
3,270,954

 
185,938

 
3,456,892

 
4.71
%
 
4.36
%
 
4.34
%
Total
18,490,826

 
(1,620,181
)
 
16,870,645

 
469,950

 
17,340,595

 
3.71
%
 
3.35
%
 
3.33
%
* Adjustable-rate mortgage ("ARM")
 
(1)
Net weighted average coupon (“WAC”) as of March 31, 2015 is presented net of servicing and other fees.
(2)
Period-end weighted average yield is based on amortized cost as of March 31, 2015 and incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates.
(3)
Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized.
(4)
Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities which represent 29.7% of the balance based on fair value.
(5)
Non-Agency RMBS held by the Company is 52.5% variable rate, 40.3% fixed rate, and 7.2% floating rate based on fair value.
(6)
Of the total discount in non-Agency RMBS, $392.5 million is non-accretable.
(7)
GSE CRT are general obligations of Fannie Mae or Freddie Mac that are structured to provide credit protection to the GSE issuer with respect to defaults and other credit events within reference pools of residential mortgage loans that collateralize MBS issued and guaranteed by such GSE.
(8)
CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.3% of the balance based on fair value.

 
11
 



December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
$ in thousands
Principal
Balance
 
Unamortized
Premium
(Discount)
 
Amortized
Cost
 
Unrealized
Gain/
(Loss), net
 
Fair
Value
 
Net
Weighted
Average
Coupon (1)
 
Period-
end
Weighted
Average
Yield (2)
 
Quarterly
Weighted
Average
Yield (3)
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
1,236,297

 
60,764

 
1,297,061

 
30,040

 
1,327,101

 
4.05
%
 
2.60
%
 
2.66
%
30 year fixed-rate
4,432,301

 
297,311

 
4,729,612

 
60,681

 
4,790,293

 
4.29
%
 
2.97
%
 
3.05
%
ARM
531,281

 
9,068

 
540,349

 
6,433

 
546,782

 
2.83
%
 
2.27
%
 
2.29
%
Hybrid ARM
2,901,078

 
50,757

 
2,951,835

 
25,083

 
2,976,918

 
2.78
%
 
2.34
%
 
2.24
%
Total Agency pass-through
9,100,957

 
417,900

 
9,518,857

 
122,237

 
9,641,094

 
3.69
%
 
2.68
%
 
2.71
%
Agency-CMO(4)
1,957,296

 
(1,502,785
)
 
454,511

 
(3,616
)
 
450,895

 
2.34
%
 
4.57
%
 
3.62
%
Non-Agency RMBS(5)(6)
3,555,249

 
(583,890
)
 
2,971,359

 
90,288

 
3,061,647

 
3.70
%
 
4.12
%
 
4.86
%
GSE CRT(7)
615,000

 
25,573

 
640,573

 
(15,149
)
 
625,424

 
4.85
%
 
4.11
%
 
4.02
%
CMBS(8)
3,277,208

 
54,893

 
3,332,101

 
137,734

 
3,469,835

 
4.74
%
 
4.39
%
 
4.38
%
Total
18,505,710

 
(1,588,309
)
 
16,917,401

 
331,494

 
17,248,895

 
3.74
%
 
3.38
%
 
3.49
%
 
(1)
Net WAC as of December 31, 2014 is presented net of servicing and other fees.
(2)
Period-end weighted average yield based on amortized cost as of December 31, 2014 incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates.
(3)
Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized.
(4)
Agency-CMO includes interest-only securities, which represent 29.1% of the balance based on fair value.
(5)
Non-Agency RMBS held by the Company is 52.8% variable rate, 40.1% fixed rate, and 7.1% floating rate based on fair value.
(6)
Of the total discount in non-Agency RMBS, $405.5 million is non-accretable.
(7)
GSE CRT are general obligations of Fannie Mae or Freddie Mac that are structured to provide credit protection to the GSE issuer with respect to defaults and other credit events within reference pools of residential mortgage loans that collateralize MBS issued and guaranteed by such GSE.
(8)
CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.3% of the balance based on fair value.
The following table summarizes the Company's non-Agency RMBS portfolio by asset type as of March 31, 2015 and December 31, 2014.
$ in thousands
March 31, 2015
 
% of Non-Agency
 
December 31, 2014
 
% of Non-Agency
Re-REMIC
954,523

 
32.4
%
 
1,000,635

 
32.7
%
Prime
929,961

 
31.5
%
 
969,849

 
31.7
%
Alt-A
674,373

 
22.9
%
 
694,467

 
22.7
%
Subprime/reperforming
388,818

 
13.2
%
 
396,696

 
12.9
%
Total Non-Agency
2,947,675

 
100.0
%
 
3,061,647

 
100.0
%

 
12
 



The following table summarizes the credit enhancement provided to the Company's re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of March 31, 2015 and December 31, 2014.
  
Percentage of Re-REMIC Holdings at Fair Value
Re-REMIC Subordination(1)
March 31, 2015
 
December 31, 2014
0% - 10%
7.3
%
 
7.0
%
10% - 20%
4.5
%
 
4.4
%
20% - 30%
11.9
%
 
11.9
%
30% - 40%
25.7
%
 
26.1
%
40% - 50%
31.5
%
 
31.8
%
50% - 60%
15.5
%
 
15.2
%
60% - 70%
3.6
%
 
3.6
%
Total
100.0
%
 
100.0
%
 
(1)
Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by the Company by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by the Company.
The components of the carrying value of the Company’s MBS portfolio at March 31, 2015 and December 31, 2014 are presented below. 
$ in thousands
March 31, 2015
 
December 31, 2014
Principal balance
18,490,826

 
18,505,710

Unamortized premium
552,865

 
549,816

Unamortized discount
(2,173,046
)
 
(2,138,125
)
Gross unrealized gains
533,661

 
439,706

Gross unrealized losses
(63,711
)
 
(108,212
)
Fair value
17,340,595

 
17,248,895

The following table summarizes the Company’s MBS portfolio according to estimated weighted average life classifications as of March 31, 2015 and December 31, 2014
$ in thousands
March 31, 2015
 
December 31, 2014
Less than one year
511,744

 
440,471

Greater than one year and less than five years
8,899,541

 
7,997,709

Greater than or equal to five years
7,929,310

 
8,810,715

Total
17,340,595

 
17,248,895



 
13
 



The following tables present the estimated fair value and gross unrealized losses of the Company's MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2015 and December 31, 2014.

March 31, 2015
  
Less than 12 Months
 
12 Months or More
 
Total
$ in thousands
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
362,706

 
(320
)
 
9

 
80,040

 
(378
)
 
5

 
442,746

 
(698
)
 
14

30 year fixed-rate
386,616

 
(2,830
)
 
14

 
1,243,419

 
(20,710
)
 
45

 
1,630,035

 
(23,540
)
 
59

ARM

 

 

 

 

 

 

 

 

Hybrid ARM
73,052

 
(68
)
 
4

 
12,670

 
(66
)
 
2

 
85,722

 
(134
)
 
6

Total Agency pass-through
822,374

 
(3,218
)
 
27

 
1,336,129

 
(21,154
)
 
52

 
2,158,503

 
(24,372
)
 
79

Agency-CMO
31,907

 
(4,171
)
 
16

 
161,321

 
(8,231
)
 
11

 
193,228

 
(12,402
)
 
27

Non-Agency RMBS
524,866

 
(4,180
)
 
30

 
363,863

 
(10,867
)
 
25

 
888,729

 
(15,047
)
 
55

GSE CRT
204,279

 
(11,717
)
 
9

 

 

 

 
204,279

 
(11,717
)
 
9

CMBS
58,151

 
(87
)
 
7

 
32,662

 
(86
)
 
2

 
90,813

 
(173
)
 
9

Total
1,641,577

 
(23,373
)
 
89

 
1,893,975

 
(40,338
)
 
90

 
3,535,552

 
(63,711
)
 
179

December 31, 2014
  
Less than 12 Months
 
12 Months or More
 
Total
$ in thousands
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
 
Fair
Value
 
Unrealized
Losses
 
Number
of
Securities
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
10,897

 
(42
)
 
1

 
105,644

 
(1,395
)
 
6

 
116,541

 
(1,437
)
 
7

30 year fixed-rate
137,680

 
(2,662
)
 
5

 
1,756,894

 
(40,181
)
 
62

 
1,894,574

 
(42,843
)
 
67

ARM
24,074

 
(9
)
 
1

 
3,719

 
(23
)
 
1

 
27,793

 
(32
)
 
2

Hybrid ARM
630,775

 
(1,544
)
 
28

 
20,361

 
(197
)
 
2

 
651,136

 
(1,741
)
 
30

Total Agency pass-through
803,426

 
(4,257
)
 
35

 
1,886,618

 
(41,796
)
 
71

 
2,690,044

 
(46,053
)
 
106

Agency-CMO
36,723

 
(6,192
)
 
18

 
265,863

 
(9,481
)
 
10

 
302,586

 
(15,673
)
 
28

Non-Agency RMBS
573,122

 
(5,799
)
 
34

 
354,532

 
(11,990
)
 
21

 
927,654

 
(17,789
)
 
55

GSE CRT
306,603

 
(25,346
)
 
13

 

 

 

 
306,603

 
(25,346
)
 
13

CMBS
134,364

 
(277
)
 
11

 
227,452

 
(3,074
)
 
19

 
361,816

 
(3,351
)
 
30

Total
1,854,238

 
(41,871
)
 
111

 
2,734,465

 
(66,341
)
 
121

 
4,588,703

 
(108,212
)
 
232

Gross unrealized losses on the Company’s Agency RMBS were $24.4 million at March 31, 2015. Due to the inherent credit quality of Agency RMBS, the Company determined that at March 31, 2015, any unrealized losses on its Agency RMBS portfolio are temporary.
Gross unrealized losses on the Company’s Agency-CMO, non-Agency RMBS, GSE CRT and CMBS were $39.3 million at March 31, 2015. The Company does not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rate spreads, prepayment speeds, and market fluctuations. These investment securities are included in the Company’s assessment for other-than-temporary impairment on a quarterly basis.

 
14
 



The following table presents the impact of the Company’s MBS on its accumulated other comprehensive income for the three months ended March 31, 2015 and 2014. 
$ in thousands
Three Months 
 ended 
 March 31, 2015
 
Three Months 
 ended 
 March 31, 2014
Accumulated other comprehensive income from investment securities:
 
 
 
Unrealized gain (loss) on MBS at beginning of period
331,494

 
(151,371
)
Unrealized gain (loss) on MBS, net
138,456

 
181,185

Balance at the end of period
469,950

 
29,814

During the three months ended March 31, 2015 and 2014, the Company reclassified $2.1 million of net unrealized gains and $11.7 million of net unrealized losses, respectively, from other comprehensive income into gain (loss) on sale of investments as a result of the Company selling certain investments. The following table summarizes the Company's gross realized gains and losses during the three months ended March 31, 2015 and 2014.
$ in thousands
Three Months 
 ended 
 March 31, 2015
 
Three Months 
 ended 
 March 31, 2014
Gross realized gains on sale of investments
2,964

 
7,729

Gross realized losses on sale of investments
(822
)
 
(19,447
)
Net realized gains (losses) on sale of investments
2,142

 
(11,718
)
The Company assesses its investment securities for other-than-temporary impairment on a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either “temporary” or “other-than-temporary.” The Company evaluates each security that has had a fair value less than amortized cost for three or more consecutive months for other-than-temporary impairment. This analysis includes evaluating the individual loans in each security to determine estimated future cash flows. Individual loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. To the extent a security is deemed impaired, the amount by which the amortized cost exceeds the security's market value would be considered other-than-temporary impairment.
The Company did not have other-than-temporary impairments for the three months ended March 31, 2015 and 2014.
The following table presents components of interest income on the Company’s MBS portfolio for the three months ended March 31, 2015 and 2014.
For the three months ended March 31, 2015
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency
94,372

 
(26,859
)
 
67,513

Non-Agency
30,810

 
658

 
31,468

GSE CRT
7,481

 
(920
)
 
6,561

CMBS
37,905

 
(2,428
)
 
35,477

Other
(1
)
 

 
(1
)
Total
170,567

 
(29,549
)
 
141,018


 
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For the three months ended March 31, 2014
$ in thousands
Coupon
Interest
 
Net (Premium
Amortization)/Discount
Accretion
 
Interest
Income
Agency
105,483

 
(23,664
)
 
81,819

Non-Agency
35,555

 
1,531

 
37,086

GSE CRT
4,376

 
(596
)
 
3,780

CMBS
38,612

 
(9,661
)
 
28,951

Other
103

 

 
103

Total
184,129

 
(32,390
)
 
151,739

Note 5 – Commercial Loans Held-for-Investment
Commercial loans held-for-investment consist of a first mortgage loan, mezzanine loans and other subordinate interests purchased or originated by the Company as of March 31, 2015 and December 31, 2014.
March 31, 2015
$ in thousands
Number of
loans
 
Principal
Balance
 
Unamortized (fees)/
costs, net
 
Carrying
value
 
Unfunded
commitment
First mortgage loan
1

 
19,978

 
28

 
20,006

 
1,623

Subordinate interests:
 
 
 
 
 
 
 
 
 
Mezzanine loans
4

 
73,587

 
(75
)
 
73,512

 

Other (1)
2

 
52,693

 

 
52,693

 

Total
7

 
146,258

 
(47
)
 
146,211

 
1,623

(1) Other subordinate interests include a B-note and a preferred equity investment.

December 31, 2014
$ in thousands
Number of
loans
 
Principal
Balance
 
Unamortized (fees)/
costs, net
 
Carrying
value
 
Unfunded
commitment
First mortgage loan
1

 
19,978

 
41

 
20,019

 
1,623

Subordinate interests:
 
 
 
 
 
 
 
 
 
Mezzanine loans
4

 
71,643

 
(94
)
 
71,549

 
3,357

Other(1)
2

 
54,188

 

 
54,188

 

Total
7

 
145,809

 
(53
)
 
145,756

 
4,980

(1) Other subordinate interests include a B-note and a preferred equity investment.
These loans were not impaired, and no allowance for loan loss has been recorded as of March 31, 2015 and December 31, 2014.
Note 6 – Other Investments
The following table summarizes the Company's other investments as of March 31, 2015 and December 31, 2014.
$ in thousands
March 31, 2015
 
December 31, 2014
FHLBI stock
69,750

 
62,500

Investments in unconsolidated ventures
41,243

 
43,998

Total
110,993

 
106,498

IAS Services LLC, the Company's wholly-owned subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the Federal Home Loan Bank of Indianapolis ("FHLBI"). The stock is recorded at cost.

 
16